九城社区 迅雷,缘之空12,2012湖人vs老鹰
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Frank and Goyal (2007) conducted a study in order to document which factors are have a greater impact on the leverage across firms. They acknowledge that the most reliable factors of the capital structure (explaining more than 27% of the variation in leverage) are the industry leverage (+ effect on leverage), market-to-book ratio (-), tangibility (+), profits (-), log of assets (+), and expected inflation (+) [3] .The remaining 19 factors explained only 2% of the variation in the leverage. The six factors are more significant when it comes to the market definition of the leverage than the book definition of the leverage. They argue in favor of the tradeoff theory.
Some studies analyzed in detail the impact of the macroeconomic conditions on the capital structure of the firms. If the leverage is influenced by the tradeoff between the benefits of debt from the tax shield and the costs associated with the probability of default, it is influenced indeed by the macroeconomic conditions. The future levels of the cash flows of the companies on which the tax benefits depends is determined by the state of economy (whether is recession or a boom period). Additionally, the probability of default depends also on the current state of economy. As a result the variation in macroeconomic conditions should influence the capital structure of the firm. Using the two dynamic partial-adjustment capital structure models, Cook and Tang (2009) find evidence that the adjustment speed is influenced by the macroeconomic conditions. In their model, states are defined by term spread, default spread, GDP growth rate and market dividend yield. Their results find support for the pecking order theory: firms that are under-levered adjust faster than firms that are over-levered. Also, they found evidence for the market timing theory that firms that are under-levered have less incentive to adjust toward target leverage when the stock market performance is good. [4]
Hovakimian et al. (2001),Korajczyka and Levy (2002) analyzed the impact of the macroeconomic and firms factors on two types of companies: financial constraint and unconstraint firms. Their results were that unconstrained firms „time their issue choice to coincide with periods of favorable macroeconomic conditions, while constrained firms do not" [5] . Their findings are more consistent with the pecking order theory than the trade-off theory: target leverage is counter-cyclical so that there is a negative relation between macroeconomic variables and leverage. Their results were that the state of economy has an important impact on the financing decisions and that firms adjust more rapidly their target leverage during good periods than bad periods.
公司特点- Firm’s characteristics
The factors assumed to determine the target leverage are the ones that have been used intensively in the previous studies: the earnings before interests rate as a measure for profitability, the log of assets as a measure of the firms size, the market to book ratio as a measure for growth, net property, plant and equipment for tangibility, R&D expenditures as a measure for innovation and a dummy variable for industry. Taking into consideration the debate of the two theories, the hypothesis will be based on the trade-off theory predictions. An inverse sign as expected will be a support for the pecking order theory.
盈利能力-Profitability
The predictions of the trade-off and the pecking order theory are different when it comes to the relation between the level of leverage and the profitability of the firm. The static trade-off theory predicts that more profitable firms are more levered as there is the tax advantage of debt and also because the expected costs of financial distress are lower for profitable firms. The relation between profitability and leverage is also sustained by the signalling hypothesis of Ross (1977) where higher debt is a signal for the outsiders for good future prospects for the firm. The pecking order theory, consistent with the hierarchy financing, suggests that the relation is negative between leverage and profitability due to the costs associated with the external financing such as transaction costs and adverse selection costs. The proxy for profitability will be the ratio of EBIT on total assets.
Hypothesis: more profitable firms have more leverage.
公司规模-Firm size
The trade-off theory predicts a positive relation between the log of assets and leverage because of the better reputation and diversification of the larger firms. Larger firms are better known on the market so that they have a lower probability of default. By being known on the market the level of information asymmetry is reduced so that the costs for the external finance are smaller. Also, they are more diversified and have as a result a lower probability of default. As a result the costs of financial distress are lower so that firms are more willing to increase the leverage. The pecking order prediction on the relation between the firm size and the leverage is rather ambiguous: as larger firms are better known on the market they are more willing to raise equity as the adverse selection problems are lower than in the case of the smaller firms. As a result one might expect a negative relation between the two variables. On the other hand, larger firms have also more assets so that the adverse selection might be more important compared to the smaller firms.
Hypothesis: large firms have more leverage than the smaller firms.
增长-Growth
The trade-off theory predicts a negative relation between growth and leverage while the pecking order theory predicts a positive relation between the two. Growing firms are in the position of losing more value under the probability of financial distress, thus the costs of financial distress are higher for growing firms. Even more, growing firms exacerbates debt-related agency problems because of the assets substitution problems. It is easier for the manager to substitute a low project risk with a high project risk as they have flexibility when it comes to choosing the future investments. Thus the trade-off theory predicts that growing firms have less leverage. Titman and Wessels (1988) found a negative relation between leverage and growth opportunities as “growth opportunities are capital assets that add value to a firm but cannot be collateralized and do not generate current taxable income”. [6] The pecking order theory predicts that firms with more investment should accumulate more debt over time. The measure for growth opportunities will be the ratio between the market value of assets (total assets plus market value of equity less book value of equity) on the volume of total assets.
Hypothesis: firms with more growing opportunities will have a smaller level of leverage.
可触知-Tangibility
The tangibility of assets is measured by the ratio between the property, plant and equipment on the total value of assets. The tangible assets can be collateralized and as results it reduces the risk of assets substitution of high risk assets with low risk assets. Since the creditors have the guarantee that the managers of the firms will not invest sub optimally they may require more favourable terms of financing from the stockholders point of view. Thus, the trade-off theory predicts that the relation between the leverage and tangibility is positive. The pecking order theory predicts a negative relation: the lower asymmetry of information of the tangible assets reduces the adverse selection costs so that firms are more willingness to issue equity for financing.
Hypothesis: firms with more tangible assets will have a higher leverage.
研发支出-R&D expenditures
In comparison with the tangible assets, the intangible assets such as R&D expenditures cannot be collateralized as they are immediately expensed. Thus, the trade-off theory predicts a negative relation between leverage and R&D expenses. The pecking order theory predicts that intangible assets are more prone to adverse selection so that they increase the leverage.
Hypothesis: firms with more R&D expenses will have a lower level of debt.
折旧-Depreciation
Depreciation leads to less leverage as firms as the tax deductions of depreciation are a substitute for the tax benefits of debt. So, firms are less interested in the interest deductions of the debt when they have depreciation expenses and include less debt in their capital structure.
Hypothesis: firms with more depreciation expenses will have a lower level of debt.
调整速度的求解- The determinates of the adjustment speed
宏观经济变量准备- Macroeconomic variables
As the capital structure of the firm varies across firms and time, the macroeconomic conditions are important in describing the debt-equity choice of the firms. Korajcyk and Levy (2002) documented that during economic downturns; firms are reluctant to issue new shares (as the return on the equity market is low) and prefer debt financing. The studies of Cook at Tang (2000) and Hackbarth et al (2006) on the US market and the study of Drobetz et al (2006) on the Swiss market considered the impact of the macroeconomic variables on the speed of adjustment. As expected, firms seem to adjust their leverage faster in good times than in bad economic states. The macroeconomic conditions will be described by the following set of macroeconomic indicators: inflation, GDP growth, default spread and term spread. |
